table.CalendarReturns {PerformanceAnalytics}R Documentation

Monthly and Calendar year Return table

Description

Returns a table of returns formatted with years in rows, months in columns, and a total column in the last column. For additional columns in R, annual returns will be appended as columns. 

      Jan   Feb   Mar   Apr  May   Jun   Jul   Aug   Sep   Oct   Nov   Dec    Year
2003 -1.05 -3.16 -1.07  7.99 8.97  1.49 -2.03 -0.79  4.32 -0.89 -1.21  3.05  15.83
2004  1.83 -0.70  2.45  0.36 0.13 -1.92  0.66 -1.74 -1.37 -0.08  3.90 -0.52   2.87
2005  2.00  1.28 -1.04 -0.18 1.64  1.91  4.24  1.92 -1.63  1.45 -0.35  0.00  11.68
2006  2.10    NA    NA    NA   NA    NA    NA    NA    NA    NA    NA    NA   2.10

NOTE: the older table.Returns function alias is deprecated, and may be removed in the future

Usage

table.CalendarReturns(R, digits = 1, as.perc = TRUE)
table.Returns(R, digits = 1, as.perc = TRUE)

Arguments

R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
digits number of digits to round results to for presentation
as.perc TRUE/FALSE if TRUE, multiply simple returns by 100 to get %

Note

This function assumes monthly returns and does not currently have handling for other scales.

This function defaults to the first column as the monthly returns to be formatted.

Author(s)

Peter Carl

Examples

data(managers)
t(table.CalendarReturns(managers[,c(1,7,8)]))
[Package PerformanceAnalytics version 0.9.9-5 Index]